Unit Roots Cointegration And Structural Change
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Unit Roots Cointegration and Structural Change
Author | : G. S. Maddala,In-Moo Kim |
Publsiher | : Cambridge University Press |
Total Pages | : 528 |
Release | : 1998 |
Genre | : Business & Economics |
ISBN | : 0521587824 |
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Time series analysis has undergone many changes in recent years with the advent of unit roots and cointegration. Maddala and Kim present a comprehensive review of these important developments and examine structural change. The volume provides an analysis of unit root tests, problems with unit root testing, estimation of cointegration systems, cointegration tests, and econometric estimation with integrated regressors. The authors also present the Bayesian approach to these problems and bootstrap methods for small-sample inference. The chapters on structural change discuss the problems of unit root tests and cointegration under structural change, outliers and robust methods, the Markov-switching model and Harvey's structural time series model. Unit Roots, Cointegration and Structural Change is a major contribution to Themes in Modern Econometrics, of interest both to specialists and graduate and upper-undergraduate students.
Cointegration
Author | : Bhaskara B. Rao |
Publsiher | : Springer |
Total Pages | : 247 |
Release | : 2016-07-27 |
Genre | : Business & Economics |
ISBN | : 9781349235292 |
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`This most commendable volume brings together a set of papers which permits ready access to the means of estimating quantitative relationships using cointegration and error correction procedures. Providing the data to show fully the basis for calculation, this approach is an excellent perception of the needs of senior undergraduates and graduate students.' - Professor W.P. Hogan, The University of Sydney Applied economists, with modest econometric background, are now desperately looking for expository literature on the unit roots and cointegration techniques. This volume of expository essays is written for them. It explains in a simple style various tests for the existence of unit roots and how to estimate cointegration relationships. Original data are given to enable easy replications. Limitations of some existing unit root tests are also discussed.
Unit Roots and Structural Breaks
Author | : Pierre Perron |
Publsiher | : MDPI |
Total Pages | : 167 |
Release | : 2018-04-13 |
Genre | : Electronic book |
ISBN | : 9783038428114 |
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This book is a printed edition of the Special Issue "Unit Roots and Structural Breaks" that was published in Econometrics
The Applied Analysis of Agricultural Economic Time Series with Special Reference to Recursive Tests for Unit Roots Cointegration and Structural Change
Author | : Kelvin Balcombe |
Publsiher | : Unknown |
Total Pages | : 135 |
Release | : 1997 |
Genre | : Electronic Book |
ISBN | : OCLC:60219571 |
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Nonstationary Panels Panel Cointegration and Dynamic Panels
Author | : Badi H. Baltagi |
Publsiher | : Elsevier |
Total Pages | : 351 |
Release | : 2000 |
Genre | : Business & Economics |
ISBN | : 9780762306886 |
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In the 16th Edition of Advances in Econometrics we present twelve papers discussing the current interface between Marketing and Econometrics. The authors are leading scholars in the fields and introduce the latest models for analysing marketing data. The papers are representative of the types of problems and methods that are used within the field of marketing. Marketing focuses on the interaction between the firm and the consumer. Economics encompasses this interaction as well as many others. Economics, along with psychology and sociology, provides a theoretical foundation for marketing.
Macroeconomic Forecasting in the Era of Big Data
Author | : Peter Fuleky |
Publsiher | : Springer Nature |
Total Pages | : 716 |
Release | : 2019-11-28 |
Genre | : Business & Economics |
ISBN | : 9783030311506 |
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This book surveys big data tools used in macroeconomic forecasting and addresses related econometric issues, including how to capture dynamic relationships among variables; how to select parsimonious models; how to deal with model uncertainty, instability, non-stationarity, and mixed frequency data; and how to evaluate forecasts, among others. Each chapter is self-contained with references, and provides solid background information, while also reviewing the latest advances in the field. Accordingly, the book offers a valuable resource for researchers, professional forecasters, and students of quantitative economics.
Unit Root Tests and Structural Breaks
Author | : Paramsothy Silvapulle |
Publsiher | : Unknown |
Total Pages | : 30 |
Release | : 1995 |
Genre | : Monte Carlo method |
ISBN | : IND:30000112294057 |
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GLS Detrending Efficient Unit Root Tests and Structural Change
Author | : Perron, Pierre,Gabriel Rodríguez,Université de Montréal. Centre de recherche et développement en économique |
Publsiher | : Montréal : Université de Montréal, Dép. de sciences économiques |
Total Pages | : 45 |
Release | : 1998 |
Genre | : Electronic Book |
ISBN | : 2893823750 |
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